General mail notification advice

Hi,
I set up us the nagios on 10 computers,
I got everything up and running,
including nrpe on all computers.

But I need som clarification, on the email notification.
I’m using ubuntu 8.04 upgraded from a 7.10, as the nagios server.

The quickguide says that I should have email notification up and running.
Which I of cause don’t have.

If I wan’t to be able to send emails to [email protected].

What do I need to install, I have installed mailx, which I think is some subset of exim.
Will these program be able to send emails, to other than /var/mail/nagios

/thanks in advance.

update:

btw the output from my mail is

Subject: Mail delivery failed: returning message to sender
Date: Fri, 06 Jun 2008 19:30:10 +0200

This message was created automatically by mail delivery software.

A message that you sent could not be delivered to one or more of its
recipients. This is a permanent error. The following address(es) failed:

[email protected]
Mailing to remote domains not supported

------ This is a copy of the message, including all the headers. ------

The mail sending program is specified in commands.cfg in /etc/nagis# folder
The default is /usr/bin/mail, but you can test and use some other that you have installed on your Linux server. Of course you have to put the right syntax in commands.cfg for the program you use for sending mail.